Conservative delta hedging

By Per Aslak Mykland. 2000

49 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/807aed59db8ede52e332016647793f0e64f78eac

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Per Aslak Mykland
2. Lan Zhang
3. Asger Lunde
4. P. R. Hansen
5. Yacine Aït-Sahalia
6. Xinbing Kong
7. Markus Bibinger
8. N. Shephard

Citations in the corpus

• Inference for volatility-type objects and implications for hedging (2008, background): “2 in Mykland and Zhang (2007) (see also Zhang et al. (2005)), Conditions B(X, X) and B(Y, Y ) make Condition C(X, Y ) redundant, by localization and our mode of mixing (stable) convergence.”
• Robust risk measurement and model risk (2014, unknown): “In Mykland [32], uncertainty is defined more generally through bounds on integrals of coefficients.”
• BOOTSTRAPPING REALIZED VOLATILITY (2009, unknown): “3. ( 34 ) 47”